Market value level from quarterly Report of Assets and Liabilities of U.S. Branches and Agencies of Foreign Banks (form FFIEC 002), schedule RAL - Assets and Liabilities, sum of U.S. government agency obligations (series RCFD0371), Mortgage-backed securities issued or guaranteed by U.S. Government agencies (series RCFDC416 less RCFNC416), 25 percent of U.S. Treasury and Agency securities held as trading assets (series RCFDK479 less RCFNK479), and Mortgage-backed securities issued or guaranteed by U.S. Government agencies that are held as trading assets (series RCFDK298 less RCFNK298); and from the Consolidated Report of Condition and Income for Edge and Agreement Corporations (form FR 2886b), sum of 25 percent of schedule RC-B - Securities, Securities of all governments and official institutions, sum of held-to-maturity and available-for-sale at amortized cost (series RCFDA200 and RCFDA202) and schedule RC - Balance Sheet, a percentage of domestic Trading assets (series RCFD3545 less RCFN3545) less 25 percent of Securities ( IBF only) (series RCFN0385). The aforementioned percentage is calculated from schedule RC-D - Trading Assets and Liabilities, as the ratio of U.S. government agency obligations (exclude MBS (RCFD3532) to Total trading assets (RCFD3545). Capital gains are computed using the change in the Merrill Lynch AAA Agency par weighted price index. Transactions are calculated as the change in market value level less capital gains less any other volume changes. Data for the most recent ten years show no significant seasonality.
Last edited on: 02/28/2019